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Malliavin Monte Carlo Greeks for jump diffusions
10 references·13 citing·38 second hop
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References

  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1995The Malliavin Calculus and Related Topics1,545 cited
  • 1998Methods of Mathematical Finance888 cited
  • 1999Applications of Malliavin calculus to Monte Carlo methods in finance549 cited
  • 1991Malliavin calculus for processes with jumps263 cited
  • 2000Chaotic and predictable representations for Lévy processes253 cited
  • 1992Some Guidelines and Guarantees for Common Random Numbers185 cited
  • 1983Calcul des variations stochastique et processus de sauts138 cited
  • 1990Differential Calculus and Integration by Parts on Poisson Space98 cited

Cited by

  • 2012Dynamic Valuation Decomposition Within Stochastic Economies131 cited
  • 2006Canonical Lévy process and Malliavin calculus76 cited
  • 2007Malliavin Greeks without Malliavin calculus70 cited
  • 2008Malliavin Calculus in Lévy spaces and Applications to Finance.48 cited
  • 2007Integration by parts formula for locally smooth laws and applications to sensitivity computations44 cited
  • 2010

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Bismut–Elworthy–Li-Type Formulae for Stochastic Differential Equations with Jumps
37 cited
  • 2009Numerical methods for Lévy processes34 cited
  • 2008Pricing Participating Products under a Generalized Jump‐Diffusion Model30 cited
  • 2010GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES28 cited
  • 2006Computation of Greeks using Malliavin's calculus in jump type market models28 cited
  • 2011Robustness of option prices and their deltas in markets modelled by jump-diffusions24 cited
  • 2010Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion23 cited
  • 2007Canonical L´ evy process and Malliavin calculus I23 cited